Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3071 |
| Annualized Std Dev | 0.5989 |
| Annualized Sharpe (Rf=0%) | -0.5129 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3556.0000 |
| NAs | 1.0000 |
| Minimum | -0.2979 |
| Quartile 1 | -0.0142 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0015 |
| Quartile 3 | 0.0121 |
| Maximum | 0.2932 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0020 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0014 |
| Stdev | 0.0377 |
| Skewness | -0.1780 |
| Kurtosis | 12.6992 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0268 |
| Gain Deviation | 0.0305 |
| Loss Deviation | 0.0300 |
| Downside Deviation (MAR=210%) | 0.0311 |
| Downside Deviation (Rf=0%) | 0.0271 |
| Downside Deviation (0%) | 0.0271 |
| Maximum Drawdown | 0.9986 |
| Historical VaR (95%) | -0.0484 |
| Historical ES (95%) | -0.0933 |
| Modified VaR (95%) | -0.0550 |
| Modified ES (95%) | -0.0683 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-12 | NA | -0.9986 | 3102 | 3096 | NA |
| 2008-07-16 | 2008-09-26 | 2008-11-19 | -0.5276 | 90 | 52 | 38 |
| 2008-03-11 | 2008-05-02 | 2008-06-23 | -0.3380 | 73 | 38 | 35 |
| 2008-01-22 | 2008-02-01 | 2008-03-06 | -0.2873 | 32 | 9 | 23 |
| 2007-11-27 | 2007-12-10 | 2008-01-04 | -0.2248 | 27 | 10 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.3 | 0.2 | 0 | -0.3 | 1.6 | -0.7 | -3 | -4 | 8.1 | -5.9 | -1.6 | -5.9 |
| 2008 | -5 | 7.7 | -14.5 | -7.7 | 1.5 | -1.7 | -0.7 | -0.1 | -4.4 | -9.4 | 29.3 | -7.3 | -17 |
| 2009 | 4.8 | 10.7 | -4.1 | 2.5 | -3.1 | 0.3 | -1.4 | 9.4 | 7.6 | 8.3 | -0.7 | 1 | 39.5 |
| 2010 | -2.7 | -0.6 | -1.6 | 4.7 | 4.3 | 1.2 | 0.1 | -7.5 | -1.5 | -0.1 | -3.9 | -0.3 | -8.2 |
| 2011 | -3.8 | 4.3 | -1.5 | 0.4 | 6.5 | -3.8 | 0.9 | 4.2 | 6.6 | 8.7 | 1.2 | 1.3 | 26.9 |
| 2012 | -3.3 | -2.3 | -0.8 | -2 | 7.1 | -5 | 1.1 | -1.1 | -0.8 | -2.5 | 0.4 | -2.7 | -11.8 |
| 2013 | -2.6 | -0.6 | 0.8 | 1.9 | 3 | -1 | -3.1 | 1.2 | -1.8 | -0.6 | 0.5 | -0.7 | -3.1 |
| 2014 | 2.3 | -1.2 | -1 | -0.5 | -0.4 | -1.4 | 1.4 | -0.8 | 2.1 | -2.3 | 1.4 | 2.3 | 1.7 |
| 2015 | 2.7 | 0.7 | 0.5 | -1.4 | -0.4 | -2.7 | 0.8 | 6.3 | -0.5 | 2.5 | -2 | 1.7 | 8.2 |
| 2016 | 0.6 | -6.7 | -1.5 | 1.3 | -0.3 | 0.5 | 0.5 | 0.8 | -1.8 | 1.8 | -1.4 | -0.7 | -7 |
| 2017 | 0.4 | -4 | 0.9 | -0.9 | -2.1 | -0.1 | -1.5 | -0.9 | -0.6 | -0.3 | -0.4 | 0.7 | -8.6 |
| 2018 | -1.1 | 4.5 | -2.4 | 0.3 | -1.7 | 0.1 | -0.3 | 0.1 | 0.2 | -1.1 | -1.6 | -1.2 | -4.5 |
| 2019 | -1.2 | -0.7 | -3.6 | 1.4 | 1.8 | -1.6 | 2.9 | -0.5 | 3.5 | -2.1 | 0.5 | -0.7 | -0.5 |
| 2020 | 3.9 | 4.6 | 11.8 | 6.2 | -2.4 | 0.2 | 0.4 | -0.4 | -1.9 | 0.3 | -2.7 | -2.3 | 18 |
| 2021 | -3.3 | -4.7 | 3.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -4.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 2195. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-05 2183. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
3 2007-02-06 2156. SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
4 2007-02-07 2136. SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
5 2007-02-08 2160. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-09 2203. SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
